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Nonstandard-Settlement Transactions



    () (Georgetown University School of Business)


A small fraction of NYSE trades do not settle in three business days, the customary period for a "regular way" trade. Nonstandard- settlement trades settle at other times - usually on the same or next business day - and often are small market sell trades by individuals. The prices received in such cases tend to be below the prices expected from spot-forward arbitrage relationships. Some nonstandard-settlement trades, however, are extremely large dividend-capture trades. The time stamps and condition codes for these trades on the consolidated tape are not always accurate, which may bias studies of the price impact of large trades.

Suggested Citation

  • James J. Angel, "undated". "Nonstandard-Settlement Transactions," Working Papers _005, Georgetown School of Business.
  • Handle: RePEc:wop:gesbwp:_005

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    References listed on IDEAS

    1. Harris, Jeffrey H. & Schultz, Paul H., 1997. "The importance of firm quotes and rapid executions: Evidence from the January 1994 SOES rules change," Journal of Financial Economics, Elsevier, vol. 45(1), pages 135-166, July.
    2. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
    3. Kandel, Eugene & Marx, Leslie M., 1997. "Nasdaq market structure and spread patterns," Journal of Financial Economics, Elsevier, vol. 45(1), pages 61-89, July.
    4. Ying, Louis K. W. & Lewellen, Wilbur G. & Schlarbaum, Gary G. & Lease, Ronald C., 1977. "Stock Exchange Listings and Securities Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 415-432, September.
    5. Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, vol. 43(3), pages 341-372, March.
    6. G. Maxwell Ule, 1937. "Price Movements of Newly Listed Common Stocks," The Journal of Business, University of Chicago Press, vol. 10, pages 346-346.
    7. Demsetz, Harold, 1997. "Limit orders and the alleged Nasdaq collusion," Journal of Financial Economics, Elsevier, vol. 45(1), pages 91-95, July.
    8. Jim Angel & Reena Aggarwal, "undated". "Optimal Listing Strategy: Why Microsoft and Intel Do Not List on the NYSE," Working Papers _007, Georgetown School of Business.
    9. Bessembinder, Hendrik, 1997. "The degree of price resolution and equity trading costs," Journal of Financial Economics, Elsevier, vol. 45(1), pages 9-34, July.
    10. Van Horne, James C, 1970. "New Listings and Their Price Behavior," Journal of Finance, American Finance Association, vol. 25(4), pages 783-794, September.
    11. Rasch, Sebastian, 1994. "Special stock market segments for small company shares in Europe - What went wrong?," ZEW Discussion Papers 94-13, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    12. Sanger, Gary C. & McConnell, John J., 1986. "Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(01), pages 1-25, March.
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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


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